Scrub well and peel skin only (do not cut into the pith; the white part) of the oranges.
Cut the peels into thin strips, about 1/8-inch wide and cut in half lengthwise.
Remove pith from oranges and lemons. Cut oranges into small cubes.
Remove flesh of lemon from membrane and remove seeds.  
Soak all fruit pieces and peelings for 12 to 18 hours.  

Following the 12- to 18-hour soak, boil the mixture for about 1 hour, until all the water is boiled away.  
This will look like a thick pot of pulp. Add the sugar. Cook for about 15-20 minutes or until 220˚F.
Remove from heat and place into sterilized jars cover.